Balon Greyjoy: hasn't been heard of since S3E10.
Is he leading the group at Moat Cailin?
Does he personally have brothers and sisters that serve him?
If so, will we ever be introduced to them?
Does he have any sort of plan to move forward his
claim to the Iron Throne besides reaving the coastal
areas?

Ramsay Snow and Reek (Theon):
How long does it take to go from House Bolton to Moat Cailin?

~~~~~~~~~~~~
Minor players:

Benjen Stark: He’s up North somewhere
(as Robin put it "in one form or another")
since the end of Season One… Hopefully he doesn't have glowing blue eyes...

Blackfish Tully: Hiding somewhere...

Edmure Tully: Rotting in a prison cell at the Twins.

Gendry: Last seen rowing away from Davos away from Dragonstone Island. Where is he?

Gregor Clegane: Was waging war in the Riverlands.
Whereabouts unknown…His head is wanted on a spike
by Prince Oberyn of House Martell.

Mance Rayder: Still waiting for the bon fire signal to attack the Wall…Cue the Thenns...
Thenns?....Thenns???
Some one go poke the Thenns with a pointed stick...

Steelshanks: Assumed at this point to be at the Dreadfort with Roose.

Syrio Forel: Dead or perhaps back in Braavos? Only Meryn Trant knows for sure…

Brotherhood without (Banners) "Without Ambition":,

What is their grand plan? Hide in a cave; abduct folks
and have Beric fight them with a fire sword to test their
guilt or innocence? Isn't that a painfully slow process
that amounts to little in the big picture?